Write an R program to minimize
over w, subject to wT1 = 1, for each λ on a log-spaced grid. Plot the expected return and standard deviation of the return for the portfolios found this way and show that the curve coincides with the efficient frontier found in Problem 4. Select the range of the grid of log-λ values by trial and error to cover an interesting range of the efficient frontier. What value of λ yields a portfolio with μP = 0.046? What value of λ yields to the tangency portfolio? What value of λ yields to the minimum variance portfolio?
Already registered? Login
Not Account? Sign up
Enter your email address to reset your password
Back to Login? Click here